Invesco Sp International Fund Market Value
| IIAE-F Fund | 24.21 0.13 0.53% |
| Symbol | Invesco |
Invesco SP 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Invesco SP's fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Invesco SP.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in Invesco SP on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding Invesco SP International or generate 0.0% return on investment in Invesco SP over 180 days.
Invesco SP Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Invesco SP's fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Invesco SP International upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 6.36 | |||
| Potential Upside | 0.212 |
Invesco SP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco SP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco SP's standard deviation. In reality, there are many statistical measures that can use Invesco SP historical prices to predict the future Invesco SP's volatility.| Risk Adjusted Performance | 0.0491 | |||
| Jensen Alpha | 0.0375 | |||
| Total Risk Alpha | (0.05) | |||
| Treynor Ratio | (0.48) |
Invesco SP International Backtested Returns
At this point, Invesco SP is very steady. Invesco SP International holds Efficiency (Sharpe) Ratio of 0.0693, which attests that the entity had a 0.0693% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Invesco SP International, which you can use to evaluate the volatility of the entity. Please check out Invesco SP's Market Risk Adjusted Performance of (0.47), standard deviation of 0.6067, and Risk Adjusted Performance of 0.0491 to validate if the risk estimate we provide is consistent with the expected return of 0.0431%. The fund retains a Market Volatility (i.e., Beta) of -0.0644, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Invesco SP are expected to decrease at a much lower rate. During the bear market, Invesco SP is likely to outperform the market.
Auto-correlation | -0.34 |
Poor reverse predictability
Invesco SP International has poor reverse predictability. Overlapping area represents the amount of predictability between Invesco SP time series from 27th of May 2024 to 25th of August 2024 and 25th of August 2024 to 23rd of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Invesco SP International price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Invesco SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Invesco SP International lagged returns against current returns
Autocorrelation, which is Invesco SP fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Invesco SP's fund expected returns. We can calculate the autocorrelation of Invesco SP returns to help us make a trade decision. For example, suppose you find that Invesco SP has exhibited high autocorrelation historically, and you observe that the fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Invesco SP regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Invesco SP fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco SP fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Invesco SP fund over time.
Current vs Lagged Prices |
| Timeline |
Invesco SP Lagged Returns
When evaluating Invesco SP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco SP fund have on its future price. Invesco SP autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Invesco SP autocorrelation shows the relationship between Invesco SP fund current value and its past values and can show if there is a momentum factor associated with investing in Invesco SP International.
Regressed Prices |
| Timeline |
Pair Trading with Invesco SP
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Invesco SP position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Invesco SP will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Invesco SP could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco SP when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco SP - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco SP International to buy it.
The correlation of Invesco SP is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco SP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco SP International moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Invesco SP can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
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